Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0576
Annualized Std Dev 0.2522
Annualized Sharpe (Rf=0%) -0.2283

Row

Daily Return Statistics

Close
Observations 5588.0000
NAs 1.0000
Minimum -0.1739
Quartile 1 -0.0063
Median 0.0000
Arithmetic Mean -0.0001
Geometric Mean -0.0002
Quartile 3 0.0066
Maximum 0.2302
SE Mean 0.0002
LCL Mean (0.95) -0.0005
UCL Mean (0.95) 0.0003
Variance 0.0003
Stdev 0.0159
Skewness -0.2025
Kurtosis 27.3688

Downside Risk

Close
Semi Deviation 0.0116
Gain Deviation 0.0124
Loss Deviation 0.0141
Downside Deviation (MAR=210%) 0.0161
Downside Deviation (Rf=0%) 0.0117
Downside Deviation (0%) 0.0117
Maximum Drawdown 0.8892
Historical VaR (95%) -0.0207
Historical ES (95%) -0.0389
Modified VaR (95%) -0.0184
Modified ES (95%) -0.0184
From Trough To Depth Length To Trough Recovery
1999-03-11 2008-11-20 NA -0.8892 5544 2442 NA
1999-01-25 1999-01-28 1999-01-29 -0.0327 5 4 1
1999-02-03 1999-02-09 1999-02-23 -0.0327 14 5 9
1999-02-24 1999-02-26 1999-03-10 -0.0261 11 3 8
1999-01-14 1999-01-14 1999-01-19 -0.0197 3 1 2

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 -0.7 0 0 -1.3 -0.7 0 0.7 0 -0.8 -1.6 0.8 -1.8 -5.2
2000 0.8 -0.8 0 0.8 -0.9 1.7 -0.8 0.8 -1.7 1 1.2 3.5 5.8
2001 -0.7 -0.8 -0.2 0 1.3 0.3 0.6 1.2 -1 -1.4 2.2 -0.9 0.6
2002 1.2 1.4 0.2 1.2 -0.7 -0.9 0.5 -0.7 0.2 0.7 2.5 1.5 7.4
2003 1 1.4 1.1 -0.8 -0.2 0 -2.4 0.7 0.2 0.4 1.5 1.1 3.9
2004 3.6 0.2 1.4 -0.4 1.1 0.2 0.6 0.4 0.6 0.6 1.2 0.4 10.1
2005 0.4 0.4 -1.7 0.7 1.8 -0.8 0 0.2 0.4 2.1 0.6 0.5 4.5
2006 0.2 -0.4 0 -0.5 -1.5 0.3 0.7 0.7 0.4 0 0 0.7 0.6
2007 0 -1.3 0.4 -0.4 0 0.7 -3 0.8 1.3 -0.8 1.5 0 -1
2008 -0.3 -0.9 2.9 0.3 0 0.3 -0.7 0.7 1.3 3.7 -8.6 4 2.2
2009 0.5 -4.4 0.6 4.5 0.9 -1.3 0 0.8 -0.7 -2.2 1.4 0.3 0.2
2010 5 0.7 0.7 0 0.4 1 1 1.3 1.4 1.7 0.3 -0.3 13.9
2011 0 1.3 0.3 0.9 0.9 0.9 2 1 4.2 -2 -0.7 0 9.1
2012 1.7 0.6 0 0.6 0.3 1.3 0.3 0.6 -0.6 1.3 -0.9 0.9 6.3
2013 0.3 0 0.9 1.5 0.6 0.6 -0.6 0 0.7 -0.6 1 -0.3 4.1
2014 0 0.3 0.9 0 -0.3 -0.6 0 0 0.6 1.3 0 2.2 4.5
2015 0.7 0.4 0 0.4 0 0.8 -0.8 -0.9 -0.4 0.8 1.3 0.9 3.2
2016 -0.5 0.5 0 0.4 0 2.1 0.8 -0.8 0 -0.6 -0.4 2.7 4.2
2017 0 0.7 0 -0.4 0.4 0.7 0 0.7 0 0 1.4 0.4 4
2018 0 -0.4 0.8 0.4 0.2 0.4 0.4 -0.2 -0.4 0.4 0 0.5 2
2019 0.9 0.8 0.8 0 -0.8 0.4 -0.2 -0.8 -0.4 0.2 -0.8 0.8 0.9
2020 -0.4 -3.4 -4.6 -2.2 0.5 -1 0 1.4 0.5 -1.9 0 -0.4 -11.1
2021 0.9 -0.2 0.4 NA NA NA NA NA NA NA NA NA 1.1

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart